{ "schemaVersion": 2, "reportDate": "2026-07-02", "generatedAt": "2026-07-25T18:42:39+00:00", "currentSnapshotAt": "2026-07-02T23:59:00+00:00", "previousSnapshotAt": "2026-07-01T23:59:00+00:00", "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "fitQuality": { "currentObjective": 1.5701001, "previousObjective": 0.10969304, "currentLiveError": 1265.57796856, "previousLiveError": 130.85327582 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "24JUL26", "6JUL26" ], "removedExpiries": [ "2JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 1W ATM IV falls 4.49 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -1.72 volatility points, RR25 +0.46 volatility points and BF25 -0.12 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.06 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.18 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.46 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -4.49 volatility points at 1W.", "tenor": "1W", "value": -4.49 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ] }, "newsEvidence": null, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.06 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.18 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.46 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -4.49 volatility points at 1W.", "tenor": "1W", "value": -4.49 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": -1.72, "rr25Change": 0.46, "bf25Change": -0.12 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1783641542529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.38, "previous": 40.87, "change": -4.49, "percentChange": -10.99 }, "rr25": { "current": -4.69, "previous": -5.21, "change": 0.52, "percentChange": 9.98 }, "bf25": { "current": 2.09, "previous": 2.17, "change": -0.08, "percentChange": -3.69 } }, { "tenor": "2W", "targetExpiry": 1784246342529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.84, "previous": 40.33, "change": -2.49, "percentChange": -6.17 }, "rr25": { "current": -4.91, "previous": -6.78, "change": 1.87, "percentChange": 27.58 }, "bf25": { "current": 1.93, "previous": 2.36, "change": -0.43, "percentChange": -18.22 } }, { "tenor": "1M", "targetExpiry": 1785628742529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.37, "previous": 40.58, "change": -2.21, "percentChange": -5.45 }, "rr25": { "current": -6.07, "previous": -6.83, "change": 0.76, "percentChange": 11.13 }, "bf25": { "current": 2.07, "previous": 2.33, "change": -0.26, "percentChange": -11.16 } }, { "tenor": "3M", "targetExpiry": 1790899142529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.12, "previous": 40.9, "change": -0.78, "percentChange": -1.91 }, "rr25": { "current": -7.14, "previous": -7.19, "change": 0.05, "percentChange": 0.7 }, "bf25": { "current": 2.72, "previous": 2.69, "change": 0.03, "percentChange": 1.12 } }, { "tenor": "6M", "targetExpiry": 1798761542529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.14, "previous": 42.46, "change": -0.32, "percentChange": -0.75 }, "rr25": { "current": -6.09, "previous": -6.14, "change": 0.05, "percentChange": 0.81 }, "bf25": { "current": 2.75, "previous": 2.82, "change": -0.07, "percentChange": -2.48 } }, { "tenor": "9M", "targetExpiry": 1806623942529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.99, "previous": 43.11, "change": -0.12, "percentChange": -0.28 }, "rr25": { "current": -5.65, "previous": -5.79, "change": 0.14, "percentChange": 2.42 }, "bf25": { "current": 2.67, "previous": 2.71, "change": -0.04, "percentChange": -1.48 } }, { "tenor": "1Y", "targetExpiry": 1814572742529, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.5, "previous": 43.54, "change": -0.04, "percentChange": -0.09 }, "rr25": { "current": -5.97, "previous": -5.46, "change": -0.51, "percentChange": -9.34 }, "bf25": { "current": 2.71, "previous": 2.64, "change": 0.07, "percentChange": 2.65 } } ], "listedExpiries": [ { "label": "3JUL26", "expiry": 1783065600000, "tauYears": 0.0009152, "daysToExpiry": 0.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 61490.71, "previous": 60013.55, "change": 1477.16, "percentChange": 2.46 }, "atmIv": { "current": 30.52, "previous": 49.53, "change": -19.01, "percentChange": -38.38 }, "rr25": { "current": -0.23, "previous": -6.98, "change": 6.75, "percentChange": 96.7 }, "bf25": { "current": 0.53, "previous": 1.82, "change": -1.29, "percentChange": -70.88 }, "svi": { "a": { "current": -0.0334, "previous": -0.0576, "change": 0.0241, "percentChange": 41.9 }, "b": { "current": 0.0506, "previous": 0.0957, "change": -0.0451, "percentChange": -47.14 }, "rho": { "current": 0.0167, "previous": -0.2938, "change": 0.3105, "percentChange": 105.68 }, "m": { "current": 0.0124, "previous": -0.1505, "change": 0.163, "percentChange": 108.26 }, "sigma": { "current": 0.663, "previous": 0.6376, "change": 0.0254, "percentChange": 3.98 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 191.6931, 182.8135, 173.8901, 164.9266, 155.9276, 146.8984, 137.8453, 128.7764, 119.7014, 110.6326, 101.5865, 92.5844, 83.6563, 74.8447, 66.2128, 57.858, 49.9371, 42.7095, 36.6051, 32.2823, 30.5191, 31.7509, 35.6701, 41.5201, 48.6039, 56.4523, 64.7799, 73.4149, 82.2512, 91.2202, 100.2762, 109.3872, 118.53, 127.6874, 136.8461, 145.9956, 155.1274, 164.2346, 173.3114, 182.3528, 191.3548 ], "previous": [ 159.6133, 153.1956, 146.7922, 140.4091, 134.0533, 127.7324, 121.4552, 115.2318, 109.0738, 102.9946, 97.0103, 91.14, 85.4066, 79.8383, 74.4695, 69.3426, 64.5101, 60.0365, 55.9993, 52.4891, 49.6059, 47.4505, 46.1101, 45.6401, 46.0503, 47.3006, 49.3101, 51.974, 55.1815, 58.8283, 62.8234, 67.0908, 71.5688, 76.208, 80.9692, 85.8214, 90.7399, 95.7049, 100.7008, 105.7148, 110.7367 ], "change": [ 32.0798, 29.6179, 27.0979, 24.5175, 21.8743, 19.166, 16.3901, 13.5446, 10.6276, 7.638, 4.5762, 1.4444, -1.7503, -4.9936, -8.2567, -11.4846, -14.573, -17.327, -19.3942, -20.2068, -19.0868, -15.6996, -10.44, -4.12, 2.5536, 9.1517, 15.4698, 21.4409, 27.0697, 32.3919, 37.4528, 42.2964, 46.9612, 51.4794, 55.8769, 60.1742, 64.3875, 68.5297, 72.6106, 76.638, 80.6181 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 7.647, "rotation": 32.877, "wingChange": 40.101, "rmsChange": 35.215 } }, { "label": "4JUL26", "expiry": 1783152000000, "tauYears": 0.00365493, "daysToExpiry": 1.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 61505.97, "previous": 60017.84, "change": 1488.13, "percentChange": 2.48 }, "atmIv": { "current": 30.69, "previous": 42.87, "change": -12.18, "percentChange": -28.41 }, "rr25": { "current": -2.27, "previous": -5.37, "change": 3.1, "percentChange": 57.73 }, "bf25": { "current": 0.57, "previous": 1.45, "change": -0.88, "percentChange": -60.69 }, "svi": { "a": { "current": -0.0535, "previous": -0.0795, "change": 0.0259, "percentChange": 32.61 }, "b": { "current": 0.0642, "previous": 0.1109, "change": -0.0467, "percentChange": -42.1 }, "rho": { "current": -0.0172, "previous": -0.3252, "change": 0.308, "percentChange": 94.71 }, "m": { "current": 0.0118, "previous": -0.2141, "change": 0.2259, "percentChange": 105.53 }, "sigma": { "current": 0.8387, "previous": 0.7672, "change": 0.0715, "percentChange": 9.32 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 108.1328, 103.6736, 99.213, 94.7544, 90.3015, 85.8588, 81.4318, 77.0269, 72.6518, 68.3162, 64.0319, 59.8139, 55.681, 51.6574, 47.7745, 44.0731, 40.6063, 37.4424, 34.6672, 32.3831, 30.7015, 29.7259, 29.5265, 30.1182, 31.4553, 33.4466, 35.9813, 38.9509, 42.2608, 45.8341, 49.6106, 53.5439, 57.5983, 61.7464, 65.9669, 70.2431, 74.5619, 78.9127, 83.287, 87.6778, 92.0793 ], "previous": [ 120.4871, 115.7855, 111.1109, 106.4682, 101.8625, 97.2997, 92.7866, 88.3309, 83.9415, 79.6285, 75.4043, 71.2828, 67.2811, 63.4193, 59.7212, 56.2155, 52.9359, 49.9216, 47.2177, 44.8735, 42.9404, 41.468, 40.4976, 40.0568, 40.1535, 40.7743, 41.8865, 43.4428, 45.3886, 47.6675, 50.2256, 53.0146, 55.9924, 59.1232, 62.3772, 65.7296, 69.16, 72.6517, 76.1907, 79.7655, 83.3669 ], "change": [ -12.3543, -12.1119, -11.8979, -11.7138, -11.561, -11.4409, -11.3548, -11.304, -11.2897, -11.3123, -11.3724, -11.4689, -11.6001, -11.7619, -11.9467, -12.1424, -12.3296, -12.4792, -12.5505, -12.4904, -12.2389, -11.7421, -10.9711, -9.9386, -8.6982, -7.3277, -5.9052, -4.4919, -3.1278, -1.8334, -0.615, 0.5293, 1.6059, 2.6232, 3.5897, 4.5135, 5.4019, 6.261, 7.0963, 7.9123, 8.7124 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": -8.075, "rotation": 10.757, "wingChange": 6.245, "rmsChange": 9.633 } }, { "label": "5JUL26", "expiry": 1783238400000, "tauYears": 0.00639461, "daysToExpiry": 2.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 61507.28, "previous": 60022.08, "change": 1485.2, "percentChange": 2.47 }, "atmIv": { "current": 27.72, "previous": 38.68, "change": -10.96, "percentChange": -28.34 }, "rr25": { "current": -2.23, "previous": -5.08, "change": 2.85, "percentChange": 56.1 }, "bf25": { "current": 0.75, "previous": 1.5, "change": -0.75, "percentChange": -50.0 }, "svi": { "a": { "current": -0.0382, "previous": -0.0896, "change": 0.0514, "percentChange": 57.37 }, "b": { "current": 0.065, "previous": 0.1204, "change": -0.0554, "percentChange": -46.04 }, "rho": { "current": -0.0235, "previous": -0.2211, "change": 0.1976, "percentChange": 89.37 }, "m": { "current": 0.01, "previous": -0.1271, "change": 0.1371, "percentChange": 107.87 }, "sigma": { "current": 0.595, "previous": 0.773, "change": -0.178, "percentChange": -23.03 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 95.8612, 91.9945, 88.1149, 84.2256, 80.3302, 76.4332, 72.5399, 68.6566, 64.7911, 60.9529, 57.1536, 53.4079, 49.7344, 46.1566, 42.7048, 39.4184, 36.3481, 33.5586, 31.1304, 29.1577, 27.7407, 26.9688, 26.8978, 27.532, 28.8226, 30.6835, 33.0143, 35.7184, 38.7123, 41.9287, 45.3142, 48.828, 52.4384, 56.1207, 59.8559, 63.629, 67.4279, 71.243, 75.0665, 78.892, 82.7143 ], "previous": [ 106.7356, 102.673, 98.626, 94.5987, 90.5956, 86.6221, 82.6842, 78.7887, 74.9438, 71.1588, 67.4448, 63.8149, 60.2846, 56.8724, 53.6007, 50.4957, 47.589, 44.9169, 42.5214, 40.4484, 38.7462, 37.4608, 36.6313, 36.2835, 36.4254, 37.0453, 38.1134, 39.5871, 41.4168, 43.5513, 45.942, 48.545, 51.3222, 54.2412, 57.275, 60.4011, 63.6008, 66.8589, 70.1627, 73.5017, 76.867 ], "change": [ -10.8744, -10.6785, -10.5111, -10.3731, -10.2654, -10.1889, -10.1443, -10.1321, -10.1527, -10.2059, -10.2912, -10.407, -10.5502, -10.7158, -10.8959, -11.0773, -11.2409, -11.3583, -11.391, -11.2907, -11.0055, -10.492, -9.7335, -8.7515, -7.6028, -6.3618, -5.0991, -3.8687, -2.7045, -1.6226, -0.6278, 0.283, 1.1162, 1.8795, 2.5809, 3.2279, 3.8271, 4.3841, 4.9038, 5.3903, 5.8473 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": -7.308, "rotation": 9.663, "wingChange": 5.546, "rmsChange": 8.5 } }, { "label": "10JUL26", "expiry": 1783670400000, "tauYears": 0.02009324, "daysToExpiry": 7.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 61529.84, "previous": 60043.53, "change": 1486.31, "percentChange": 2.48 }, "atmIv": { "current": 36.65, "previous": 41.18, "change": -4.53, "percentChange": -11.0 }, "rr25": { "current": -4.75, "previous": -5.24, "change": 0.49, "percentChange": 9.35 }, "bf25": { "current": 2.13, "previous": 2.26, "change": -0.13, "percentChange": -5.75 }, "svi": { "a": { "current": -0.0348, "previous": -0.0935, "change": 0.0587, "percentChange": 62.8 }, "b": { "current": 0.0946, "previous": 0.1464, "change": -0.0518, "percentChange": -35.38 }, "rho": { "current": 0.0349, "previous": -0.0044, "change": 0.0393, "percentChange": 892.22 }, "m": { "current": 0.0555, "previous": 0.0502, "change": 0.0053, "percentChange": 10.57 }, "sigma": { "current": 0.3945, "previous": 0.6634, "change": -0.2689, "percentChange": -40.53 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 84.2745, 81.6073, 78.9238, 76.2266, 73.5191, 70.8052, 68.0899, 65.3791, 62.6798, 60.0008, 57.3522, 54.7466, 52.1987, 49.7261, 47.3498, 45.0942, 42.9877, 41.0623, 39.3536, 37.8992, 36.7368, 35.9012, 35.4206, 35.3129, 35.5836, 36.2245, 37.2153, 38.5262, 40.122, 41.9652, 44.019, 46.2487, 48.6234, 51.1155, 53.7016, 56.3613, 59.0776, 61.8359, 64.6241, 67.432, 70.2512 ], "previous": [ 85.0378, 82.3764, 79.723, 77.0814, 74.4554, 71.8498, 69.2699, 66.7217, 64.2121, 61.7489, 59.3411, 56.999, 54.7342, 52.5598, 50.4906, 48.5431, 46.7353, 45.0867, 43.6179, 42.3497, 41.3026, 40.4952, 39.9432, 39.6582, 39.6462, 39.9074, 40.436, 41.221, 42.2467, 43.4945, 44.9443, 46.5749, 48.3658, 50.2974, 52.3516, 54.5116, 56.7627, 59.0916, 61.4865, 63.9372, 66.4345 ], "change": [ -0.7633, -0.7691, -0.7992, -0.8548, -0.9363, -1.0446, -1.18, -1.3426, -1.5323, -1.7481, -1.9889, -2.2524, -2.5355, -2.8337, -3.1408, -3.4489, -3.7476, -4.0244, -4.2643, -4.4505, -4.5658, -4.594, -4.5226, -4.3453, -4.0626, -3.6829, -3.2207, -2.6948, -2.1247, -1.5293, -0.9253, -0.3262, 0.2576, 0.8181, 1.35, 1.8497, 2.3149, 2.7443, 3.1376, 3.4948, 3.8167 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": -2.493, "rotation": 1.064, "wingChange": 3.109, "rmsChange": 2.789 } }, { "label": "17JUL26", "expiry": 1784275200000, "tauYears": 0.03927132, "daysToExpiry": 14.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 61550.12, "previous": 60071.21, "change": 1478.91, "percentChange": 2.46 }, "atmIv": { "current": 37.87, "previous": 40.22, "change": -2.35, "percentChange": -5.84 }, "rr25": { "current": -4.91, "previous": -6.99, "change": 2.08, "percentChange": 29.76 }, "bf25": { "current": 1.93, "previous": 2.37, "change": -0.44, "percentChange": -18.57 }, "svi": { "a": { "current": -0.1507, "previous": -0.0882, "change": -0.0625, "percentChange": -70.89 }, "b": { "current": 0.1787, "previous": 0.1481, "change": 0.0306, "percentChange": 20.7 }, "rho": { "current": -0.0177, "previous": 0.0071, "change": -0.0248, "percentChange": -349.06 }, "m": { "current": 0.0553, "previous": 0.0969, "change": -0.0417, "percentChange": -42.97 }, "sigma": { "current": 0.872, "previous": 0.6351, "change": 0.2369, "percentChange": 37.3 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 69.0967, 67.1518, 65.2217, 63.309, 61.4167, 59.548, 57.7067, 55.8966, 54.1224, 52.389, 50.7018, 49.067, 47.4913, 45.982, 44.5469, 43.1947, 41.9345, 40.7757, 39.7281, 38.8016, 38.0058, 37.3495, 36.8407, 36.4858, 36.2895, 36.2544, 36.3809, 36.6671, 37.1088, 37.7001, 38.4335, 39.3001, 40.2906, 41.3952, 42.6039, 43.9071, 45.2955, 46.7602, 48.2932, 49.8869, 51.5343 ], "previous": [ 72.8896, 70.995, 69.1053, 67.2228, 65.3501, 63.4898, 61.6454, 59.8202, 58.0183, 56.2442, 54.5029, 52.7999, 51.1413, 49.5341, 47.9857, 46.5043, 45.0987, 43.7786, 42.5541, 41.4355, 40.4336, 39.5591, 38.8219, 38.2314, 37.7955, 37.5204, 37.4103, 37.4668, 37.6891, 38.0742, 38.6165, 39.3088, 40.1422, 41.1071, 42.1928, 43.3889, 44.6846, 46.0698, 47.5347, 49.0702, 50.6678 ], "change": [ -3.7929, -3.8432, -3.8836, -3.9138, -3.9334, -3.9418, -3.9387, -3.9236, -3.8959, -3.8552, -3.8011, -3.7329, -3.65, -3.5521, -3.4388, -3.3096, -3.1642, -3.0029, -2.826, -2.6339, -2.4278, -2.2096, -1.9812, -1.7456, -1.506, -1.266, -1.0294, -0.7997, -0.5803, -0.3741, -0.183, -0.0087, 0.1484, 0.2881, 0.4111, 0.5182, 0.6109, 0.6904, 0.7585, 0.8167, 0.8665 ], "classification": [ "rotation towards calls" ], "parallelShift": -2.137, "rotation": 3.618, "wingChange": 0.436, "rmsChange": 2.659 } }, { "label": "31JUL26", "expiry": 1785484800000, "tauYears": 0.07762749, "daysToExpiry": 28.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 61613.91, "previous": 60131.68, "change": 1482.23, "percentChange": 2.46 }, "atmIv": { "current": 38.26, "previous": 40.59, "change": -2.33, "percentChange": -5.74 }, "rr25": { "current": -5.92, "previous": -6.8, "change": 0.88, "percentChange": 12.94 }, "bf25": { "current": 2.04, "previous": 2.32, "change": -0.28, "percentChange": -12.07 }, "svi": { "a": { "current": -0.1482, "previous": -0.0854, "change": -0.0628, "percentChange": -73.47 }, "b": { "current": 0.1852, "previous": 0.1523, "change": 0.0329, "percentChange": 21.62 }, "rho": { "current": 0.0063, "previous": 0.0319, "change": -0.0257, "percentChange": -80.37 }, "m": { "current": 0.1216, "previous": 0.1469, "change": -0.0253, "percentChange": -17.22 }, "sigma": { "current": 0.8544, "previous": 0.6372, "change": 0.2172, "percentChange": 34.09 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 59.8132, 58.5131, 57.2238, 55.9471, 54.6846, 53.4381, 52.2098, 51.0018, 49.8165, 48.6565, 47.5245, 46.4235, 45.3566, 44.3272, 43.3389, 42.3953, 41.5003, 40.6579, 39.8723, 39.1476, 38.4879, 37.8972, 37.3793, 36.9379, 36.576, 36.2966, 36.1017, 35.9929, 35.9712, 36.0368, 36.1891, 36.427, 36.7485, 37.1514, 37.6325, 38.1887, 38.8161, 39.5109, 40.269, 41.0862, 41.9585 ], "previous": [ 62.0208, 60.7808, 59.5469, 58.3205, 57.1032, 55.8968, 54.7031, 53.5244, 52.3628, 51.2209, 50.1014, 49.0071, 47.9413, 46.9072, 45.9084, 44.9487, 44.0322, 43.1628, 42.3451, 41.5832, 40.8817, 40.2449, 39.6771, 39.1824, 38.7646, 38.4269, 38.1724, 38.0032, 37.921, 37.9267, 38.0204, 38.2016, 38.4688, 38.8202, 39.2529, 39.7639, 40.3496, 41.006, 41.729, 42.5141, 43.3572 ], "change": [ -2.2076, -2.2677, -2.3231, -2.3734, -2.4186, -2.4587, -2.4933, -2.5226, -2.5463, -2.5644, -2.5769, -2.5836, -2.5847, -2.58, -2.5695, -2.5534, -2.5319, -2.5049, -2.4728, -2.4356, -2.3938, -2.3477, -2.2978, -2.2445, -2.1886, -2.1303, -2.0707, -2.0103, -1.9498, -1.8899, -1.8313, -1.7746, -1.7203, -1.6688, -1.6204, -1.5752, -1.5335, -1.4951, -1.46, -1.4279, -1.3987 ], "classification": [ "parallel shift lower", "rotation towards calls" ], "parallelShift": -2.267, "rotation": 0.746, "wingChange": 0.19, "rmsChange": 2.196 } }, { "label": "28AUG26", "expiry": 1787904000000, "tauYears": 0.15433986, "daysToExpiry": 56.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 61803.42, "previous": 60323.14, "change": 1480.28, "percentChange": 2.45 }, "atmIv": { "current": 39.26, "previous": 40.37, "change": -1.11, "percentChange": -2.75 }, "rr25": { "current": -7.21, "previous": -7.63, "change": 0.42, "percentChange": 5.5 }, "bf25": { "current": 2.23, "previous": 2.53, "change": -0.3, "percentChange": -11.86 }, "svi": { "a": { "current": -0.1233, "previous": -0.0608, "change": -0.0625, "percentChange": -102.95 }, "b": { "current": 0.1852, "previous": 0.1579, "change": 0.0274, "percentChange": 17.33 }, "rho": { "current": 0.0062, "previous": 0.0661, "change": -0.0599, "percentChange": -90.58 }, "m": { "current": 0.1945, "previous": 0.2076, "change": -0.0131, "percentChange": -6.32 }, "sigma": { "current": 0.774, "previous": 0.5249, "change": 0.2491, "percentChange": 47.46 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 54.7449, 53.8726, 53.0063, 52.1466, 51.2946, 50.451, 49.617, 48.7937, 47.9821, 47.1835, 46.3992, 45.6306, 44.8792, 44.1463, 43.4337, 42.7429, 42.0757, 41.4339, 40.8192, 40.2335, 39.6788, 39.1568, 38.6695, 38.2188, 37.8063, 37.4339, 37.1031, 36.8155, 36.5724, 36.375, 36.2243, 36.121, 36.0657, 36.0587, 36.1001, 36.1896, 36.3268, 36.511, 36.7414, 37.0168, 37.336 ], "previous": [ 55.9753, 55.1291, 54.2852, 53.4442, 52.6071, 51.7748, 50.9483, 50.1287, 49.3174, 48.5156, 47.7249, 46.9467, 46.1828, 45.4349, 44.7052, 43.9955, 43.3082, 42.6456, 42.01, 41.404, 40.8302, 40.2912, 39.7897, 39.3283, 38.9098, 38.5366, 38.2111, 37.9357, 37.7122, 37.5425, 37.428, 37.3698, 37.3686, 37.4248, 37.5382, 37.7084, 37.9346, 38.2155, 38.5496, 38.9351, 39.3697 ], "change": [ -1.2304, -1.2565, -1.2789, -1.2976, -1.3125, -1.3238, -1.3313, -1.335, -1.3353, -1.3321, -1.3257, -1.3161, -1.3036, -1.2886, -1.2715, -1.2526, -1.2325, -1.2117, -1.1908, -1.1705, -1.1514, -1.1344, -1.1202, -1.1095, -1.1035, -1.1027, -1.108, -1.1202, -1.1398, -1.1675, -1.2037, -1.2488, -1.3029, -1.3661, -1.4381, -1.5188, -1.6078, -1.7045, -1.8082, -1.9183, -2.0337 ], "classification": [ "parallel shift lower" ], "parallelShift": -1.227, "rotation": 0.122, "wingChange": -0.113, "rmsChange": 1.334 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.23105215, "daysToExpiry": 84.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 61989.85, "previous": 60516.07, "change": 1473.78, "percentChange": 2.44 }, "atmIv": { "current": 39.8, "previous": 40.69, "change": -0.89, "percentChange": -2.19 }, "rr25": { "current": -7.32, "previous": -7.33, "change": 0.01, "percentChange": 0.14 }, "bf25": { "current": 2.7, "previous": 2.67, "change": 0.03, "percentChange": 1.12 }, "svi": { "a": { "current": -0.1203, "previous": -0.1281, "change": 0.0077, "percentChange": 6.05 }, "b": { "current": 0.208, "previous": 0.2164, "change": -0.0085, "percentChange": -3.91 }, "rho": { "current": -0.103, "previous": -0.0105, "change": -0.0925, "percentChange": -877.07 }, "m": { "current": 0.1249, "previous": 0.1956, "change": -0.0708, "percentChange": -36.18 }, "sigma": { "current": 0.736, "previous": 0.7483, "change": -0.0123, "percentChange": -1.64 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 53.2425, 52.4811, 51.7262, 50.9785, 50.239, 49.5084, 48.7876, 48.0776, 47.3794, 46.694, 46.0224, 45.3658, 44.7254, 44.1023, 43.4979, 42.9132, 42.3497, 41.8087, 41.2913, 40.799, 40.3331, 39.8947, 39.4852, 39.1058, 38.7575, 38.4415, 38.1586, 37.9099, 37.6959, 37.5174, 37.3749, 37.2687, 37.199, 37.1659, 37.1693, 37.209, 37.2845, 37.3954, 37.541, 37.7204, 37.9329 ], "previous": [ 53.6573, 52.9318, 52.2121, 51.4989, 50.7929, 50.0948, 49.4056, 48.726, 48.057, 47.3995, 46.7545, 46.1231, 45.5063, 44.9053, 44.3213, 43.7554, 43.2088, 42.6829, 42.1789, 41.6982, 41.2419, 40.8114, 40.408, 40.0328, 39.6872, 39.3722, 39.089, 38.8384, 38.6216, 38.4392, 38.2919, 38.1803, 38.1048, 38.0657, 38.0632, 38.0972, 38.1676, 38.274, 38.416, 38.5931, 38.8044 ], "change": [ -0.4148, -0.4507, -0.4859, -0.5204, -0.5539, -0.5864, -0.618, -0.6484, -0.6776, -0.7055, -0.7321, -0.7573, -0.7809, -0.803, -0.8234, -0.8422, -0.8591, -0.8742, -0.8876, -0.8992, -0.9088, -0.9167, -0.9228, -0.927, -0.9297, -0.9307, -0.9304, -0.9285, -0.9257, -0.9218, -0.917, -0.9116, -0.9058, -0.8998, -0.8939, -0.8882, -0.8831, -0.8786, -0.875, -0.8727, -0.8715 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.853, "rotation": -0.185, "wingChange": 0.084, "rmsChange": 0.818 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.48036725, "daysToExpiry": 175.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62622.39, "previous": 61104.29, "change": 1518.1, "percentChange": 2.48 }, "atmIv": { "current": 42.04, "previous": 42.4, "change": -0.36, "percentChange": -0.85 }, "rr25": { "current": -6.15, "previous": -6.17, "change": 0.02, "percentChange": 0.32 }, "bf25": { "current": 2.77, "previous": 2.83, "change": -0.06, "percentChange": -2.12 }, "svi": { "a": { "current": -0.1595, "previous": -0.2379, "change": 0.0784, "percentChange": 32.95 }, "b": { "current": 0.2644, "previous": 0.3085, "change": -0.0441, "percentChange": -14.29 }, "rho": { "current": -0.2775, "previous": -0.276, "change": -0.0014, "percentChange": -0.53 }, "m": { "current": 0.0019, "previous": -0.0366, "change": 0.0385, "percentChange": 105.33 }, "sigma": { "current": 0.9347, "previous": 1.0718, "change": -0.1371, "percentChange": -12.79 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 50.4729, 49.998, 49.5303, 49.07, 48.6176, 48.1734, 47.7378, 47.3112, 46.894, 46.4865, 46.0891, 45.7022, 45.3261, 44.9613, 44.608, 44.2667, 43.9376, 43.6212, 43.3176, 43.0273, 42.7506, 42.4876, 42.2386, 42.0039, 41.7837, 41.5782, 41.3876, 41.2119, 41.0513, 40.9059, 40.7757, 40.6608, 40.5612, 40.4769, 40.4078, 40.3539, 40.315, 40.291, 40.2818, 40.2873, 40.3071 ], "previous": [ 50.8727, 50.392, 49.9191, 49.4543, 48.9979, 48.5504, 48.112, 47.683, 47.264, 46.8551, 46.4567, 46.0692, 45.6928, 45.3281, 44.9751, 44.6344, 44.3061, 43.9905, 43.6881, 43.399, 43.1234, 42.8618, 42.6141, 42.3808, 42.1619, 41.9577, 41.7683, 41.5937, 41.4342, 41.2899, 41.1606, 41.0466, 40.9479, 40.8643, 40.7959, 40.7426, 40.7043, 40.681, 40.6724, 40.6785, 40.6991 ], "change": [ -0.3998, -0.394, -0.3888, -0.3843, -0.3803, -0.377, -0.3742, -0.3718, -0.37, -0.3686, -0.3676, -0.367, -0.3667, -0.3668, -0.3671, -0.3677, -0.3685, -0.3693, -0.3705, -0.3717, -0.3728, -0.3742, -0.3755, -0.3769, -0.3782, -0.3795, -0.3807, -0.3818, -0.3829, -0.384, -0.3849, -0.3858, -0.3867, -0.3874, -0.3881, -0.3887, -0.3893, -0.39, -0.3906, -0.3912, -0.392 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.375, "rotation": -0.017, "wingChange": -0.003, "rmsChange": 0.379 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.72968228, "daysToExpiry": 266.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63241.16, "previous": 61712.69, "change": 1528.47, "percentChange": 2.48 }, "atmIv": { "current": 42.94, "previous": 43.07, "change": -0.13, "percentChange": -0.3 }, "rr25": { "current": -5.62, "previous": -5.82, "change": 0.2, "percentChange": 3.44 }, "bf25": { "current": 2.66, "previous": 2.72, "change": -0.06, "percentChange": -2.21 }, "svi": { "a": { "current": -0.1234, "previous": -0.2011, "change": 0.0777, "percentChange": 38.62 }, "b": { "current": 0.2666, "previous": 0.3085, "change": -0.0419, "percentChange": -13.58 }, "rho": { "current": -0.267, "previous": -0.276, "change": 0.009, "percentChange": 3.28 }, "m": { "current": 0.0653, "previous": 0.0246, "change": 0.0407, "percentChange": 165.45 }, "sigma": { "current": 0.9682, "previous": 1.1035, "change": -0.1352, "percentChange": -12.26 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 49.4514, 49.1102, 48.7739, 48.4427, 48.1167, 47.7962, 47.4814, 47.1726, 46.8698, 46.5734, 46.2835, 46.0004, 45.7242, 45.4552, 45.1936, 44.9395, 44.6933, 44.4549, 44.2247, 44.0028, 43.7894, 43.5846, 43.3886, 43.2015, 43.0234, 42.8545, 42.6949, 42.5446, 42.4038, 42.2725, 42.1509, 42.0388, 41.9364, 41.8437, 41.7607, 41.6873, 41.6237, 41.5696, 41.5252, 41.4903, 41.4648 ], "previous": [ 49.7617, 49.41, 49.0635, 48.7225, 48.3872, 48.0578, 47.7344, 47.4174, 47.1067, 46.8028, 46.5057, 46.2156, 45.9327, 45.6573, 45.3895, 45.1294, 44.8773, 44.6333, 44.3976, 44.1703, 43.9516, 43.7416, 43.5405, 43.3483, 43.1652, 42.9913, 42.8267, 42.6714, 42.5256, 42.3894, 42.2627, 42.1456, 42.0381, 41.9404, 41.8523, 41.7738, 41.7051, 41.6459, 41.5964, 41.5564, 41.5259 ], "change": [ -0.3103, -0.2998, -0.2896, -0.2798, -0.2705, -0.2616, -0.253, -0.2448, -0.2369, -0.2294, -0.2222, -0.2152, -0.2085, -0.2021, -0.1959, -0.1899, -0.184, -0.1784, -0.1729, -0.1675, -0.1622, -0.157, -0.1519, -0.1468, -0.1418, -0.1368, -0.1318, -0.1268, -0.1218, -0.1169, -0.1118, -0.1068, -0.1017, -0.0967, -0.0916, -0.0865, -0.0814, -0.0763, -0.0712, -0.0661, -0.0611 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.165, "rotation": 0.11, "wingChange": -0.005, "rmsChange": 0.184 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.97899735, "daysToExpiry": 357.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63869.96, "previous": 62344.05, "change": 1525.91, "percentChange": 2.45 }, "atmIv": { "current": 43.47, "previous": 43.52, "change": -0.05, "percentChange": -0.11 }, "rr25": { "current": -5.95, "previous": -5.48, "change": -0.47, "percentChange": -8.58 }, "bf25": { "current": 2.71, "previous": 2.64, "change": 0.07, "percentChange": 2.65 }, "svi": { "a": { "current": -0.0695, "previous": -0.2484, "change": 0.1789, "percentChange": 72.04 }, "b": { "current": 0.2678, "previous": 0.3589, "change": -0.0911, "percentChange": -25.38 }, "rho": { "current": -0.2701, "previous": -0.3778, "change": 0.1077, "percentChange": 28.52 }, "m": { "current": 0.1484, "previous": -0.1091, "change": 0.2575, "percentChange": 236.0 }, "sigma": { "current": 0.9332, "previous": 1.2705, "change": -0.3373, "percentChange": -26.55 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 49.5405, 49.2508, 48.9645, 48.6817, 48.4024, 48.1269, 47.8554, 47.5879, 47.3247, 47.0659, 46.8117, 46.5622, 46.3176, 46.0781, 45.8437, 45.6148, 45.3914, 45.1736, 44.9617, 44.7558, 44.556, 44.3624, 44.1753, 43.9947, 43.8207, 43.6535, 43.4931, 43.3397, 43.1934, 43.0543, 42.9224, 42.7977, 42.6805, 42.5706, 42.4682, 42.3733, 42.2859, 42.206, 42.1337, 42.0688, 42.0115 ], "previous": [ 49.3014, 49.011, 48.7253, 48.4444, 48.1685, 47.8976, 47.6319, 47.3715, 47.1165, 46.8669, 46.623, 46.3847, 46.1522, 45.9256, 45.7049, 45.4903, 45.2818, 45.0796, 44.8835, 44.6939, 44.5106, 44.3338, 44.1635, 43.9998, 43.8427, 43.6923, 43.5485, 43.4115, 43.2812, 43.1576, 43.0408, 42.9308, 42.8276, 42.7311, 42.6415, 42.5585, 42.4823, 42.4128, 42.35, 42.2938, 42.2443 ], "change": [ 0.2391, 0.2398, 0.2392, 0.2373, 0.2339, 0.2293, 0.2235, 0.2164, 0.2082, 0.199, 0.1887, 0.1775, 0.1654, 0.1525, 0.1388, 0.1245, 0.1096, 0.094, 0.0782, 0.0619, 0.0454, 0.0286, 0.0118, -0.0051, -0.022, -0.0388, -0.0554, -0.0718, -0.0878, -0.1033, -0.1184, -0.1331, -0.1471, -0.1605, -0.1733, -0.1852, -0.1964, -0.2068, -0.2163, -0.225, -0.2328 ], "classification": [ "limited movement" ], "parallelShift": 0.039, "rotation": -0.307, "wingChange": -0.01, "rmsChange": 0.164 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "5JUL26", "value": 9.663, "score": 9.663, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -4.49, "score": 4.49, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": 1.87, "score": 1.87, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": -0.43, "score": 0.43, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25JUN27", "value": -0.3373, "score": 0.3373, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "5JUL26", "value": 0.1976, "score": 0.1976, "unit": "parameter units" } ], "expiryEffects": [ { "label": "3JUL26", "daysToExpiry": 0.334, "metric": "Smile rotation", "value": 32.877, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "4JUL26", "daysToExpiry": 1.334, "metric": "ATM IV change", "value": -12.18, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 246.3511879, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "3JUL26", "expiry": 1783065600000, "value": 0.000702672633, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "3JUL26", "expiry": 1783065600000, "value": -339.01448385, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00192854, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -26.20992785, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "3JUL26", "values": [ 32.0798, 29.6179, 27.0979, 24.5175, 21.8743, 19.166, 16.3901, 13.5446, 10.6276, 7.638, 4.5762, 1.4444, -1.7503, -4.9936, -8.2567, -11.4846, -14.573, -17.327, -19.3942, -20.2068, -19.0868, -15.6996, -10.44, -4.12, 2.5536, 9.1517, 15.4698, 21.4409, 27.0697, 32.3919, 37.4528, 42.2964, 46.9612, 51.4794, 55.8769, 60.1742, 64.3875, 68.5297, 72.6106, 76.638, 80.6181 ] }, { "label": "4JUL26", "values": [ -12.3543, -12.1119, -11.8979, -11.7138, -11.561, -11.4409, -11.3548, -11.304, -11.2897, -11.3123, -11.3724, -11.4689, -11.6001, -11.7619, -11.9467, -12.1424, -12.3296, -12.4792, -12.5505, -12.4904, -12.2389, -11.7421, -10.9711, -9.9386, -8.6982, -7.3277, -5.9052, -4.4919, -3.1278, -1.8334, -0.615, 0.5293, 1.6059, 2.6232, 3.5897, 4.5135, 5.4019, 6.261, 7.0963, 7.9123, 8.7124 ] }, { "label": "5JUL26", "values": [ -10.8744, -10.6785, -10.5111, -10.3731, -10.2654, -10.1889, -10.1443, -10.1321, -10.1527, -10.2059, -10.2912, -10.407, -10.5502, -10.7158, -10.8959, -11.0773, -11.2409, -11.3583, -11.391, -11.2907, -11.0055, -10.492, -9.7335, -8.7515, -7.6028, -6.3618, -5.0991, -3.8687, -2.7045, -1.6226, -0.6278, 0.283, 1.1162, 1.8795, 2.5809, 3.2279, 3.8271, 4.3841, 4.9038, 5.3903, 5.8473 ] }, { "label": "10JUL26", "values": [ -0.7633, -0.7691, -0.7992, -0.8548, -0.9363, -1.0446, -1.18, -1.3426, -1.5323, -1.7481, -1.9889, -2.2524, -2.5355, -2.8337, -3.1408, -3.4489, -3.7476, -4.0244, -4.2643, -4.4505, -4.5658, -4.594, -4.5226, -4.3453, -4.0626, -3.6829, -3.2207, -2.6948, -2.1247, -1.5293, -0.9253, -0.3262, 0.2576, 0.8181, 1.35, 1.8497, 2.3149, 2.7443, 3.1376, 3.4948, 3.8167 ] }, { "label": "17JUL26", "values": [ -3.7929, -3.8432, -3.8836, -3.9138, -3.9334, -3.9418, -3.9387, -3.9236, -3.8959, -3.8552, -3.8011, -3.7329, -3.65, -3.5521, -3.4388, -3.3096, -3.1642, -3.0029, -2.826, -2.6339, -2.4278, -2.2096, -1.9812, -1.7456, -1.506, -1.266, -1.0294, -0.7997, -0.5803, -0.3741, -0.183, -0.0087, 0.1484, 0.2881, 0.4111, 0.5182, 0.6109, 0.6904, 0.7585, 0.8167, 0.8665 ] }, { "label": "31JUL26", "values": [ -2.2076, -2.2677, -2.3231, -2.3734, -2.4186, -2.4587, -2.4933, -2.5226, -2.5463, -2.5644, -2.5769, -2.5836, -2.5847, -2.58, -2.5695, -2.5534, -2.5319, -2.5049, -2.4728, -2.4356, -2.3938, -2.3477, -2.2978, -2.2445, -2.1886, -2.1303, -2.0707, -2.0103, -1.9498, -1.8899, -1.8313, -1.7746, -1.7203, -1.6688, -1.6204, -1.5752, -1.5335, -1.4951, -1.46, -1.4279, -1.3987 ] }, { "label": "28AUG26", "values": [ -1.2304, -1.2565, -1.2789, -1.2976, -1.3125, -1.3238, -1.3313, -1.335, -1.3353, -1.3321, -1.3257, -1.3161, -1.3036, -1.2886, -1.2715, -1.2526, -1.2325, -1.2117, -1.1908, -1.1705, -1.1514, -1.1344, -1.1202, -1.1095, -1.1035, -1.1027, -1.108, -1.1202, -1.1398, -1.1675, -1.2037, -1.2488, -1.3029, -1.3661, -1.4381, -1.5188, -1.6078, -1.7045, -1.8082, -1.9183, -2.0337 ] }, { "label": "25SEP26", "values": [ -0.4148, -0.4507, -0.4859, -0.5204, -0.5539, -0.5864, -0.618, -0.6484, -0.6776, -0.7055, -0.7321, -0.7573, -0.7809, -0.803, -0.8234, -0.8422, -0.8591, -0.8742, -0.8876, -0.8992, -0.9088, -0.9167, -0.9228, -0.927, -0.9297, -0.9307, -0.9304, -0.9285, -0.9257, -0.9218, -0.917, -0.9116, -0.9058, -0.8998, -0.8939, -0.8882, -0.8831, -0.8786, -0.875, -0.8727, -0.8715 ] }, { "label": "25DEC26", "values": [ -0.3998, -0.394, -0.3888, -0.3843, -0.3803, -0.377, -0.3742, -0.3718, -0.37, -0.3686, -0.3676, -0.367, -0.3667, -0.3668, -0.3671, -0.3677, -0.3685, -0.3693, -0.3705, -0.3717, -0.3728, -0.3742, -0.3755, -0.3769, -0.3782, -0.3795, -0.3807, -0.3818, -0.3829, -0.384, -0.3849, -0.3858, -0.3867, -0.3874, -0.3881, -0.3887, -0.3893, -0.39, -0.3906, -0.3912, -0.392 ] }, { "label": "26MAR27", "values": [ -0.3103, -0.2998, -0.2896, -0.2798, -0.2705, -0.2616, -0.253, -0.2448, -0.2369, -0.2294, -0.2222, -0.2152, -0.2085, -0.2021, -0.1959, -0.1899, -0.184, -0.1784, -0.1729, -0.1675, -0.1622, -0.157, -0.1519, -0.1468, -0.1418, -0.1368, -0.1318, -0.1268, -0.1218, -0.1169, -0.1118, -0.1068, -0.1017, -0.0967, -0.0916, -0.0865, -0.0814, -0.0763, -0.0712, -0.0661, -0.0611 ] }, { "label": "25JUN27", "values": [ 0.2391, 0.2398, 0.2392, 0.2373, 0.2339, 0.2293, 0.2235, 0.2164, 0.2082, 0.199, 0.1887, 0.1775, 0.1654, 0.1525, 0.1388, 0.1245, 0.1096, 0.094, 0.0782, 0.0619, 0.0454, 0.0286, 0.0118, -0.0051, -0.022, -0.0388, -0.0554, -0.0718, -0.0878, -0.1033, -0.1184, -0.1331, -0.1471, -0.1605, -0.1733, -0.1852, -0.1964, -0.2068, -0.2163, -0.225, -0.2328 ] } ] } }